Testing for Contagion: a Time-Scale Decomposition
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References listed on IDEAS
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More about this item
Keywordswavelets; simultaneous equations model; financial contagion;
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-10 (All new papers)
- NEP-BAN-2010-07-10 (Banking)
- NEP-ECM-2010-07-10 (Econometrics)
- NEP-IFN-2010-07-10 (International Finance)
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